Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0168 |
| Annualized Std Dev | 0.3281 |
| Annualized Sharpe (Rf=0%) | -0.0513 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2982.0000 |
| NAs | 1.0000 |
| Minimum | -0.2276 |
| Quartile 1 | -0.0104 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0113 |
| Maximum | 0.1054 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0207 |
| Skewness | -0.9232 |
| Kurtosis | 9.9703 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0153 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0160 |
| Downside Deviation (MAR=210%) | 0.0198 |
| Downside Deviation (Rf=0%) | 0.0153 |
| Downside Deviation (0%) | 0.0153 |
| Maximum Drawdown | 0.8658 |
| Historical VaR (95%) | -0.0316 |
| Historical ES (95%) | -0.0479 |
| Modified VaR (95%) | -0.0348 |
| Modified ES (95%) | -0.0825 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-11-05 | 2016-01-21 | NA | -0.8658 | 2610 | 1310 | NA |
| 2010-01-12 | 2010-05-20 | 2010-08-17 | -0.2481 | 151 | 90 | 61 |
| 2009-10-16 | 2009-10-28 | 2009-11-09 | -0.1247 | 17 | 9 | 8 |
| 2009-06-12 | 2009-06-22 | 2009-07-15 | -0.1076 | 23 | 7 | 16 |
| 2009-12-03 | 2009-12-17 | 2010-01-04 | -0.0719 | 21 | 11 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | 3.2 | 2.3 | 1.7 | -2.9 | -2.4 | -4 | 3 | 0.6 | 1.2 |
| 2010 | 4.4 | 2.7 | 1.8 | -0.3 | -1.8 | 0.6 | 1.6 | 1.9 | 2.3 | 0.9 | 2.7 | 1 | 19.1 |
| 2011 | 3.2 | -1 | 2.8 | 0.7 | -1.8 | 1.5 | -0.7 | 1.3 | -3.6 | -4.2 | 0.7 | 0.8 | -0.7 |
| 2012 | 3.5 | 1 | 0.9 | 0.1 | -3.2 | 6.5 | 1 | 1.1 | 1.5 | 1.2 | -1.1 | 1.8 | 14.8 |
| 2013 | 1 | -0.4 | -0.4 | -1.4 | -4.4 | -0.5 | -0.2 | 0.5 | 0.4 | -1.4 | 0.4 | 0.6 | -5.8 |
| 2014 | -1.2 | -1.5 | 0 | -0.2 | -1.4 | 0.4 | 0.2 | 1.8 | -3.7 | 0.1 | -2.2 | -0.5 | -7.9 |
| 2015 | -5.6 | 0.4 | 2 | -0.2 | 0.5 | -1.3 | -0.1 | -3.3 | -1 | -0.3 | 0.5 | 0.1 | -8.2 |
| 2016 | 3.2 | 4.4 | 1.9 | 0.7 | 2 | 0.5 | -0.5 | -0.1 | 0 | -3.7 | -5.4 | -1 | 1.7 |
| 2017 | 1.3 | 2.4 | 0.6 | 0.6 | -0.7 | 1.3 | 0.2 | 2 | 2.7 | 0.6 | 0.1 | 0.4 | 12.2 |
| 2018 | 1.3 | 0 | 2.8 | -1.1 | 1.5 | 0.6 | 0.4 | 2.2 | -2.1 | 2.1 | 0.4 | 0.5 | 8.7 |
| 2019 | 0 | -1.3 | 2.2 | -1.3 | 1.7 | -1 | 0.4 | 1.8 | -0.5 | 1.8 | 0.8 | 0.3 | 4.9 |
| 2020 | -2.2 | 0.1 | -5.3 | -4.3 | 2 | 3.6 | -1.8 | 3.3 | 1.2 | -1.9 | 3.7 | -0.1 | -2.1 |
| 2021 | 2.3 | -1 | 3.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-05-14 24.4 SPY 89.4 0.0086 -0.0156 0.0491 0.0691 -0.365 -0.308 -0.190 GLD 91.0 -0.0007 0.0178
2 2009-05-15 24.4 SPY 88.7 -0.0082 -0.0459 0.0255 0.0719 -0.378 -0.315 -0.194 GLD 91.6 0.0057 0.0174
3 2009-05-18 25.9 SPY 91.2 0.0284 -0.0001 0.0477 0.152 -0.360 -0.294 -0.171 GLD 90.4 -0.013 0.0075
4 2009-05-19 26.3 SPY 91.1 -0.00120 0.0016 0.0922 0.153 -0.363 -0.282 -0.165 GLD 91.0 0.0066 0.00290
5 2009-05-20 26.2 SPY 90.5 -0.0067 0.0206 0.0641 0.158 -0.362 -0.283 -0.175 GLD 92.2 0.0142 0.0127
6 2009-05-21 25.5 SPY 89.2 -0.0144 -0.0026 0.0552 0.152 -0.360 -0.298 -0.184 GLD 93.8 0.0173 0.031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
